Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0295
Annualized Std Dev 0.2842
Annualized Sharpe (Rf=0%) -0.1037

Row

Daily Return Statistics

Close
Observations 3210.0000
NAs 1.0000
Minimum -0.1266
Quartile 1 -0.0074
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0083
Maximum 0.1942
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0179
Skewness -0.0736
Kurtosis 13.4085

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0128
Loss Deviation 0.0145
Downside Deviation (MAR=210%) 0.0175
Downside Deviation (Rf=0%) 0.0130
Downside Deviation (0%) 0.0130
Maximum Drawdown 0.8208
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0447
Modified VaR (95%) -0.0249
Modified ES (95%) -0.0249
From Trough To Depth Length To Trough Recovery
2008-06-19 2012-07-24 NA -0.8208 3211 1033 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -1 -1.6 -1 -0.5 1.4 -9.8 0.8 -11.6
2009 -1.9 -0.8 1.5 3.5 3.1 -1.3 4.2 -2 -3.2 -2.9 1.3 -0.4 0.9
2010 1.5 -0.3 1.2 -0.2 -2 1.8 -1.5 2.7 1.2 -1.2 2.6 1.2 7
2011 1.8 -1.7 0.9 0.6 -3.2 1.7 -1.3 -2.5 -1.9 -4.1 -0.7 1 -9.2
2012 2.1 0 0.6 0.9 -1.5 5.3 -0.8 3.4 0.8 0.8 0.2 2.5 15.1
2013 0.5 -0.1 -1.1 -0.5 -1.4 0.7 1.7 -0.5 2.7 -0.3 0.6 0.2 2.3
2014 -1.2 1.1 1.9 0.2 0.5 -0.1 -1.4 -0.2 -0.8 0.8 -1.2 -1.2 -1.5
2015 -1.2 0.9 1.5 1 -1 0.9 0.4 -2.4 0.8 0.1 0.9 -1 0.9
2016 -0.1 0.9 0.6 1.7 1.1 0.4 -0.4 0.3 -0.3 -0.8 -0.7 0.9 3.6
2017 0.7 1.2 1.2 0.4 0.3 0.9 -0.2 -0.5 0.5 -0.1 -0.4 0.6 4.5
2018 -1.1 -1 0.5 -0.3 -0.1 1.7 -1 -0.6 -0.8 3.1 0.5 1.1 2
2019 0.8 0 0.4 -0.5 -0.6 0.8 -0.2 0.5 -0.4 0.9 0.4 0.5 2.7
2020 -0.5 -0.9 -4.6 -2 1 -0.2 -0.5 -0.1 2.5 -0.2 1 -0.3 -4.9
2021 1.3 2.1 1.3 NA NA NA NA NA NA NA NA NA 4.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-06-18  31.4 SPY    134. -0.0097   0.0023  -0.0615   0.0302   -0.124   0.106     0.321 GLD    88.3  1.18e-2   0.0145
2 2008-06-19  31.1 SPY    134.  0.0013  -0.0002  -0.0526   0.0177   -0.111   0.108     0.323 GLD    88.4  1.60e-3   0.0329
3 2008-06-20  30.7 SPY    132. -0.0161  -0.0287  -0.0519  -0.0183   -0.130   0.0894    0.322 GLD    89.0  6.00e-3   0.0364
4 2008-06-23  30.8 SPY    131. -0.001   -0.0351  -0.0578  -0.0252   -0.127   0.0822    0.322 GLD    87.1 -2.09e-2   0.0009
5 2008-06-24  30.3 SPY    131. -0.002   -0.0323  -0.0469  -0.0151   -0.124   0.0791    0.333 GLD    87.5  4.40e-3   0.0025
6 2008-06-25  30.2 SPY    132.  0.0047  -0.0182  -0.0494  -0.0073   -0.111   0.0997    0.338 GLD    87.4 -6.00e-4  -0.0097
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart